کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10525811 | 958250 | 2013 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Berry-Esséen bounds for the least squares estimator for discretely observed fractional Ornstein-Uhlenbeck processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Let θ>0. We consider a one-dimensional fractional Ornstein-Uhlenbeck process defined as dXt=âθXtdt+dBt,tâ¥0, where B is a fractional Brownian motion of Hurst parameter Hâ(12,1). We are interested in the problem of estimating the unknown parameter θ. For that purpose, we dispose of a discretized trajectory, observed at n equidistant times ti=iÎn,i=0,â¦,n, and Tn=nÎn denotes the length of the 'observation window'. We assume that Înâ0 and Tnââ as nââ. As an estimator of θ we choose the least squares estimator (LSE) θÌn. The consistency of this estimator is established. Explicit bounds for the Kolmogorov distance, in the case when Hâ(12,34), in the central limit theorem for the LSE θÌn are obtained. These results hold without any kind of ergodicity on the process X.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 83, Issue 10, October 2013, Pages 2372-2385
Journal: Statistics & Probability Letters - Volume 83, Issue 10, October 2013, Pages 2372-2385
نویسندگان
Khalifa Es-Sebaiy,